Thanks a lot for the answer knottyrope.
Just one thing i wanted to ask, is possible to customize the user credential to pass to the proxy. different device can have different users (this is because we have user based access and customization for internet access

I try to follow the configuration posted here, but I am still not able to connect to the proxy. Look like the BES MDS Service is not routed throw the proxy. I cant see any activity on the proxy.
Please can someone help me with that?